FAIR VALUE (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Summary of valuation of investments and other financial instruments by fair value hierarchy levels

The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and the Consolidated Funds as of March 31, 2020:

Financial Instruments of the Company	Level I		Level II		Level III		Investments Measured at NAV		Total
Assets, at fair value
Investments:
Collateralized loan obligations and other fixed income	$	—	$	—	$	65,344	$	—	$	65,344
Common stock and other equity securities	—		873		14,704		—		15,577
Partnership interests	—		—		2,575		1,632		4,207
Total investments, at fair value	—		873		82,623		1,632		85,128
Derivatives-foreign exchange contracts	—		5,429		—		—		5,429
Total assets, at fair value	$	—	$	6,302	$	82,623	$	1,632	$	90,557
Liabilities, at fair value
Derivatives-foreign exchange contracts	$	—	$	(5)	$	—	$	—	$	(5)
Total liabilities, at fair value	$	—	$	(5)	$	—	$	—	$	(5)

Financial Instruments of the Consolidated Funds	Level I		Level II		Level III		Total
Assets, at fair value
Investments:
Fixed income investments:
Bonds	$	—	$	187,051	$	13,101	$	200,152
Loans	—		7,267,203		1,266,455		8,533,658
Total fixed income investments	—		7,454,254		1,279,556		8,733,810
Equity securities	10,978		—		42,752		53,730
Partnership interests	—		—		307,025		307,025
Total investments, at fair value	10,978		7,454,254		1,629,333		9,094,565
Derivatives-asset swaps-other	—		—		831		831
Total assets, at fair value	$	10,978	$	7,454,254	$	1,630,164	$	9,095,396
Liabilities, at fair value
Derivatives-asset swaps-other	$	—	$	—	$	(811)	$	(811)
Loan obligations of CLOs	—		(8,354,458)		—		(8,354,458)
Total liabilities, at fair value	$	—	$	(8,354,458)	$	(811)	$	(8,355,269)

The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and the Consolidated Funds as of December 31, 2019:

Financial Instruments of the Company	Level I		Level II		Level III		Investments Measured at NAV		Total
Assets, at fair value
Investments:
Collateralized loan obligations and other fixed income	$	—	$	—	$	69,183	$	—	$	69,183
Common stock and other equity securities	—		1,043		14,704		—		15,747
Partnership interests	—		—		35,192		1,632		36,824
Total investments, at fair value	—		1,043		119,079		1,632		121,754
Derivatives-foreign exchange contracts	—		4,023		—		—		4,023
Total assets, at fair value	$	—	$	5,066	$	119,079	$	1,632	$	125,777
Liabilities, at fair value
Derivatives-foreign exchange contracts	$	—	$	(113)	$	—	$	—	$	(113)
Total liabilities, at fair value	$	—	$	(113)	$	—	$	—	$	(113)

Financial Instruments of the Consolidated Funds	Level I		Level II		Level III		Total
Assets, at fair value
Investments:
Fixed income investments:
Bonds	$	—	$	207,966	$	4,410	$	212,376
Loans	—		7,728,014		334,726		8,062,740
Investments in CLO warehouse	—		44,435		—		44,435
Total fixed income investments	—		7,980,415		339,136		8,319,551
Equity securities	26,396		—		85,988		112,384
Partnership interests	—		—		296,012		296,012
Total investments, at fair value	26,396		7,980,415		721,136		8,727,947
Derivatives-foreign exchange contracts	—		667		—		667
Total assets, at fair value	$	26,396	$	7,981,082	$	721,136	$	8,728,614
Liabilities, at fair value
Derivatives:
Foreign exchange contracts	$	—	$	(670)	$	—	$	(670)
Asset swaps-other	—		—		(4,106)		(4,106)
Total derivative liabilities, at fair value	—		(670)		(4,106)		(4,776)
Loan obligations of CLOs	—		(7,973,748)		—		(7,973,748)
Total liabilities, at fair value	$	—	$	(7,974,418)	$	(4,106)	$	(7,978,524)

Summary of changes in the fair value of the Level III investments

The following tables set forth a summary of changes in the fair value of the Level III measurements for the three months ended March 31, 2020:

	Level III Assets
Level III Assets of the Company	Equity  Securities		Fixed Income		Partnership Interests		Total
Balance, beginning of period	$	14,704	$	69,183	$	35,192	$	119,079
Additions(1)	—		3,686		—		3,686
Purchases(2)	—		643		—		643
Sales/settlements(3)	—		(402)		(32,430)		(32,832)
Realized and unrealized depreciation, net	—		(7,766)		(187)		(7,953)
Balance, end of period	$	14,704	$	65,344	$	2,575	$	82,623
Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	—	$	(6,731)	$	5,511	$	(1,220)

Level III Assets of Consolidated Funds	Equity  Securities		Fixed  Income		Partnership Interests		Derivatives, Net		Total
Balance, beginning of period	$	85,988	$	339,136	$	296,012	$	(4,106)	$	717,030
Additions(1)	(635)		392,672		—		—		392,037
Transfer in	—		607,588		—		—		607,588
Transfer out	—		(61,774)		—		—		(61,774)
Purchases(2)	249		355,592		8,000		—		363,841
Sales/settlements(3)	(351)		(178,159)		—		(1,278)		(179,788)
Amortized discounts/premiums	—		499		—		48		547
Realized and unrealized appreciation (depreciation), net	(42,499)		(175,998)		3,013		5,356		(210,128)
Balance, end of period	$	42,752	$	1,279,556	$	307,025	$	20	$	1,629,353
Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(42,500)	$	(170,496)	$	3,012	$	2,874	$	(207,110)

(1)Additions relate to the net increase from consolidation of new funds or entities. For Consolidated Funds, additions are also offset by the deconsolidation of a fund.

(2)Purchases include paid-in-kind interest and securities received in connection with restructuring.

(3)Sales/settlements include distributions, principal redemptions and securities disposed of in connection with restructurings.

The following tables set forth a summary of changes in the fair value of the Level III measurements for the three months ended March 31, 2019:

	Level III Assets
Level III Assets of the Company	Equity  Securities		Fixed Income		Partnership Interests		Total
Balance, beginning of period	$	10,397	$	60,824	$	35,192	$	106,413
Deconsolidation of fund	—		8,138		—		8,138
Purchases(1)	—		2,147		—		2,147
Sales/settlements(2)	—		(4,964)		—		(4,964)
Realized and unrealized appreciation, net	—		1,045		—		1,045
Balance, end of period	$	10,397	$	67,190	$	35,192	$	112,779
Increase in net unrealized appreciation included in earnings related to financial assets still held at the reporting date	$	—	$	719	$	—	$	719

Level III Assets of Consolidated Funds	Equity  Securities		Fixed  Income		Partnership Interests		Derivatives, Net		Total
Balance, beginning of period	$	150,752	$	547,958	$	271,447	$	680	$	970,837
Deconsolidation of fund	—		(58,883)		—		—		(58,883)
Transfer in	—		155,651		—		—		155,651
Transfer out	—		(182,087)		—		—		(182,087)
Purchases(1)	10,774		173,408		4,000		—		188,182
Sales/settlements(2)	(5,086)		(79,489)		—		(21)		(84,596)
Amortized discounts/premiums	—		312		—		(151)		161
Realized and unrealized appreciation (depreciation), net	2,592		7,434		7,612		(3,539)		14,099
Balance, end of period	$	159,032	$	564,304	$	283,059	$	(3,031)	$	1,003,364
Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	2,592	$	7,894	$	7,612	$	(3,481)	$	14,617

(1)Purchases include paid-in-kind interest and securities received in connection with restructurings.

(2)Sales/settlements include distributions, principal redemptions and securities disposed of in connection with restructurings.

Summary of quantitative inputs and assumptions used for Level III inputs

The following table summarizes the quantitative inputs and assumptions used for the Company’s and the Consolidated Funds' Level III measurements as of March 31, 2020:

Level III Measurements of the Company	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range
Assets
Equity securities	$	14,704	Transaction price(1)	N/A	N/A
Partnership interests	2,575		Other	N/A	N/A
Collateralized loan obligations	17,783		Broker quotes and/or 3rd party pricing services	N/A	N/A
Other fixed income	47,561		Other	N/A	N/A
Total	$	82,623

Level III Measurements of the Consolidated Funds	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range	Weighted Average
Assets
Equity securities
	$	325	Market approach	EBITDA multiple(2)	10.0x - 28.8x	18.9x
	40,426		Other	Net income multiple	32.5x	32.5x
				Illiquidity discount	25.0%	25.0%
	2,001		Transaction price	N/A	N/A	N/A
Partnership interest	307,025		Discounted cash flow	Discount rate	18.1%	18.1%
Fixed income securities
	1,223,236		Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
	56,320		Income approach	Yield	4.0% - 25.5%	10.4%
Total assets	$	1,630,164
Liabilities
Derivatives instruments	$	(811)	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total liabilities	$	(811)

(1)Transaction price consists of securities recently purchased or restructured. The Company determined that there was no change to the valuation based on the underlying assumptions used at the closing of such transactions.

(2)“EBITDA” in the table above is a non-GAAP financial measure and refers to earnings before interest, tax, depreciation and amortization.

The following table summarizes the quantitative inputs and assumptions used for the Company’s and the Consolidated Funds' Level III measurements as of December 31, 2019:

Level III Measurements of the Company	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range
Assets
Equity securities	$	14,704	Transaction price(1)	N/A	N/A
Partnership interests	32,661		Transaction price(1)	N/A	N/A
	2,531		Other	N/A	N/A
Collateralized loan obligations	22,265		Broker quotes and/or 3rd party pricing services	N/A	N/A
Other fixed income	46,918		Other	N/A	N/A
Total	$	119,079

Level III Measurements of the Consolidated Funds	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range	Weighted Average
Assets
Equity securities
	$	431	Market approach	EBITDA multiple(2)	8.2x - 21.3x	16.1x
	40,745		Other	Net income multiple	36.2x	36.2x
				Illiquidity discount	25.0%	25.0%
	44,812		Transaction price(1)	N/A	N/A	N/A
Partnership interests	296,012		Discounted cash flow	Discount rate	19.6%	19.6%
Fixed income securities
	271,919		Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
	67,217		Income approach	Yield	4.8% - 14.3%	9.7%
Total assets	$	721,136
Liabilities
Derivatives instruments	$	(4,106)	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total liabilities	$	(4,106)

(1)Transaction price consists of securities purchased or restructured. The Company determined that there has been no change to the valuation based on the underlying assumptions used at the closing of such transactions.

(2)“EBITDA” in the table above is a non-GAAP financial measure and refers to earnings before interest, tax, depreciation and amortization.